Distances between time-series and their autocorrelation statistics
Optimization and Control
2007-06-13 v1 Statistics Theory
Statistics Theory
Abstract
We begin with an interpretation of the L1-distance between two power spectral densities and then, following an analogous rationale, we develop a natural metric for quantifying distance between respective covariance matrices.
Keywords
Cite
@article{arxiv.math/0701181,
title = {Distances between time-series and their autocorrelation statistics},
author = {Tryphon T. Georgiou},
journal= {arXiv preprint arXiv:math/0701181},
year = {2007}
}
Comments
11 pages, no figures